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The objective of this paper is to examine the value relevance of accounting information in explaining stock return. The paper uses profitability, liquidity, leverage, market ratio, size and cash flow as proxies of accounting information. Cumulative abnormal return and market adjusted return are used as stock return variables. The samples are listed companies in manufacturing industries that actively trading between 2003-2006 in Indonesia Stock Market. The paper finds that profitability, turnover and market ratio has significant impact to the stock return. The result consistent with previous studies Hobart (2006), Utama and Santoso (1998) and Restraningsih (2007).
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